IFRS 9 substantially affects the financial sector by changing the impairment methodology for credit losses. This paper …. First, the "cliff-effect", which refers to sudden increases in impairments. It occurred under IAS 39, as credit losses were … approach, which gradually recognizes expected credit losses (ECL). These anticipated impairments, however, constitute a …

We explore whether the transparency in banks' lending activities enhances the harmonization of credit terms that a bank … convergence in their credit terms, suggesting that transparency facilitates learning across a bank's different geographic regions …. Additionally, banks that face stronger regulatory scrutiny are more likely to alleviate credit term disparities under the …

This paper studies the implications of perceived default risk for aggregate output and productivity. Using a model of … credit contracts with moral hazard, we show that a firm's probability of default is a sufficient statistic for capital … allocation. The theoretical framework suggests an aggregate measure of the impact of credit market frictions based on firm …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures … comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of …

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … portfolio credit risks associated with such operations. The framework accommodates a large number of bank and sovereign …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … firms' credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with … higher credit risk. But disclosing emissions and setting a forward-looking target to cut emissions are both associated with …

cutting back on lending but also by reallocating credit to firms in financial distress with prior underreported loan loss … credit reallocation leads to a reallocation of production factors across firms. A partial equilibrium exercise suggests that …

which they are more specialized. Third, they reallocate credit towards low-risk firms. These reallocation effects are … bank-firm level credit data, we show that banks reallocate credit within their loan portfolio in at least three different … transmission of the funding shock to credit supply by 22, 8 and 10%, respectively. …